Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 2 | 2 | 2 |
| Score | -3.11 | -2.39 | -2.24 |
| Market Cap (Millions USD) | 44754.41 | 43889.28 | 42981.65 |
| Predicted Beta | 0.99 | 1.01 | 1.01 |
| Idiosyncratic Volatility | 1.77 | 2.34 | 2.49 |
Annualized return and volatility
| IJR | |
|---|---|
| Annualized Return | 0.0995 |
| Annualized Std Dev | 0.2181 |
| Annualized Sharpe (Rf=0%) | 0.4563 |
Row
Daily Return Statistics
| IJR | |
|---|---|
| Observations | 5010.0000 |
| NAs | 104.0000 |
| Minimum | -0.1055 |
| Quartile 1 | -0.0064 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0079 |
| Maximum | 0.0840 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.1814 |
| Kurtosis | 4.5986 |
Downside Risk
| IJR | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5815 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0361 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-09 | 2011-02-07 | -0.5815 | 912 | 422 | 490 |
| 2002-04-17 | 2002-10-09 | 2003-10-14 | -0.3357 | 386 | 125 | 261 |
| 2018-09-04 | 2018-12-24 | NA | -0.2731 | 336 | 79 | NA |
| 2011-07-08 | 2011-10-03 | 2012-02-03 | -0.2658 | 148 | 62 | 86 |
| 2001-05-23 | 2001-09-21 | 2002-01-04 | -0.2378 | 157 | 83 | 74 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IJR | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 2.3 | 0.0 | 0.2 | 0.4 | 0.0 | -1.0 | 2.5 | 0.0 | 4.5 |
| 2001 | 0.6 | 0.5 | 0.0 | 0.9 | 0.7 | 0.0 | 0.4 | 0.0 | -1.8 | 1.4 | 0.0 | 0.0 | 2.7 |
| 2002 | -0.9 | 2.1 | 0.0 | 0.3 | 0.0 | -2.8 | -0.7 | 0.0 | 2.8 | 2.2 | 0.0 | 0.0 | 3.0 |
| 2003 | 0.0 | 0.0 | 0.7 | -0.3 | 0.0 | 0.4 | -1.4 | 0.0 | 2.2 | 0.0 | 1.4 | 0.0 | 3.1 |
| 2004 | 0.0 | 2.0 | 0.5 | 0.0 | 0.7 | -1.2 | 0.0 | 0.8 | 2.5 | 0.5 | 1.2 | 0.0 | 7.2 |
| 2005 | 0.8 | 0.8 | -0.5 | 0.0 | 1.3 | 0.9 | 0.3 | 0.3 | 0.0 | 0.5 | 1.7 | 0.0 | 6.4 |
| 2006 | 0.4 | 1.6 | 0.0 | -0.6 | 1.6 | 0.0 | -1.1 | 0.5 | 0.0 | -1.8 | -0.3 | 0.0 | 0.1 |
| 2007 | 1.3 | -0.2 | 0.0 | 0.6 | 0.9 | 0.0 | 0.4 | 0.0 | 2.1 | -3.9 | 0.0 | 0.0 | 1.1 |
| 2008 | 2.8 | 0.0 | 3.8 | 1.5 | 0.0 | 0.0 | 0.6 | 0.0 | 0.0 | 0.0 | -10.5 | 0.0 | -2.6 |
| 2009 | 0.0 | 0.0 | 2.2 | 0.4 | 4.3 | 1.7 | 0.0 | -2.2 | -2.9 | 0.0 | 1.5 | 0.0 | 4.9 |
| 2010 | 1.0 | 2.2 | 1.1 | 0.0 | -2.9 | -0.7 | 0.0 | 3.8 | 0.6 | -0.6 | 2.1 | 0.0 | 6.5 |
| 2011 | 2.0 | -1.8 | 0.3 | 0.0 | -3.0 | 1.6 | -0.6 | -2.1 | 0.0 | -3.2 | -0.6 | 0.0 | -7.3 |
| 2012 | 2.1 | 0.6 | 0.0 | 0.1 | -2.8 | 0.0 | -1.6 | 0.0 | 0.3 | 1.4 | 0.0 | 0.0 | 0.0 |
| 2013 | 1.1 | 0.4 | -1.1 | -2.2 | 0.0 | 1.6 | 1.3 | 0.0 | 1.2 | -0.4 | 0.0 | 0.0 | 1.8 |
| 2014 | 0.0 | 0.0 | 1.2 | -0.2 | 0.0 | 1.2 | -0.2 | 0.0 | -1.4 | 0.0 | -1.3 | 0.0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.6 | 0.4 | 0.5 | 0.0 | -2.7 | -0.4 | 0.0 | 0.7 | 0.0 | -1.1 |
| 2016 | -0.3 | 1.9 | 0.3 | 0.0 | 0.7 | 0.1 | 0.1 | 0.1 | 0.0 | -1.4 | -0.3 | 0.0 | 1.1 |
| 2017 | -0.1 | 1.8 | 0.0 | 0.5 | 1.7 | 0.0 | 0.3 | 0.7 | 0.0 | -0.7 | -0.6 | 0.0 | 3.7 |
| 2018 | 0.4 | -0.4 | 0.0 | 0.4 | 0.7 | 0.0 | 0.0 | 0.0 | -1.5 | 1.9 | 0.0 | 0.0 | 1.5 |
| 2019 | -0.1 | 0.6 | 1.2 | -0.9 | 0.0 | 0.2 | -1.5 | 0.0 | -2.0 | 1.5 | 0.0 | 0.3 | -0.7 |
Row
Rolling Performance Chart
Snail Trail Chart
